UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-06740
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 47th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Marc A. De Oliveira
Franklin Templeton
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code: 877-6LM-FUND/656-3863
Date of fiscal year end: February 28
Date of reporting period:
ITEM 1. | REPORT TO STOCKHOLDERS. |
The Semi-Annual Report to Stockholders is filed herewith.
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Semi-Annual Shareholder Report |
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Fund Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment*,†
|
Western Asset SMASh Series C Fund1
|
$
|
|
* | Reflects fee waivers and/or expense reimbursements, without which expenses would have been higher. |
† | Annualized. |
1 | Does not reflect the effect of fees and expenses associated with a separately managed account, or a management fee or other operating expenses of the Fund. |
Total Net Assets
|
$
|
Total Number of Portfolio Holdings*
|
|
Portfolio Turnover Rate
|
|
* | Does not include derivatives, except purchased options, if any. |
* | Does not include derivatives, except purchased options, if any. |
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WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
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Additional information is available on
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• prospectus • proxy voting information • financial information • holdings • tax information
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Western Asset SMASh Series C Fund | PAGE 1 | 7937-STSR-1024 |
ITEM 2. | CODE OF ETHICS. |
Not applicable.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
(a) | Please see schedule of investments contained in the Financial Statements and Financial Highlights included under Item 7 of this Form N-CSR. |
(b) | Not applicable. |
ITEM 7. | FINANCIAL STATEMENTS AND FINANCIAL HIGLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
1
| |
20
| |
21
| |
22
| |
23
| |
24
| |
38
| |
38
| |
38
| |
39
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Corporate
Bonds & Notes — 80.8% | |||||
Communication
Services — 10.1% | |||||
Diversified
Telecommunication Services — 4.8% | |||||
AT&T
Inc., Senior Notes |
2.300%
|
6/1/27
|
$1,680,000
|
$1,589,280
| |
AT&T
Inc., Senior Notes |
1.650%
|
2/1/28
|
3,220,000
|
2,936,364
| |
AT&T
Inc., Senior Notes |
2.250%
|
2/1/32
|
1,550,000
|
1,307,712
| |
AT&T
Inc., Senior Notes |
2.550%
|
12/1/33
|
420,000
|
348,009
| |
AT&T
Inc., Senior Notes |
5.350%
|
9/1/40
|
480,000
|
478,857
| |
AT&T
Inc., Senior Notes |
5.550%
|
8/15/41
|
450,000
|
455,990
| |
AT&T
Inc., Senior Notes |
4.350%
|
6/15/45
|
352,000
|
304,308
| |
AT&T
Inc., Senior Notes |
3.500%
|
9/15/53
|
620,000
|
441,431
| |
AT&T
Inc., Senior Notes |
3.800%
|
12/1/57
|
27,290,000
|
20,018,689
| |
Telefonica
Emisiones SA, Senior Notes |
5.213%
|
3/8/47
|
1,150,000
|
1,062,735
| |
Verizon
Communications Inc., Senior Notes |
3.150%
|
3/22/30
|
380,000
|
354,630
| |
Verizon
Communications Inc., Senior Notes |
1.750%
|
1/20/31
|
780,000
|
655,419
| |
Verizon
Communications Inc., Senior Notes |
2.550%
|
3/21/31
|
1,370,000
|
1,205,662
| |
Verizon
Communications Inc., Senior Notes |
2.355%
|
3/15/32
|
2,924,000
|
2,485,372
| |
Verizon
Communications Inc., Senior Notes |
4.500%
|
8/10/33
|
3,160,000
|
3,074,328
| |
Verizon
Communications Inc., Senior Notes |
4.400%
|
11/1/34
|
2,950,000
|
2,832,759
| |
Verizon
Communications Inc., Senior Notes |
4.780%
|
2/15/35
|
1,375,491
|
1,356,852
(a)
| |
Verizon
Communications Inc., Senior Notes |
5.250%
|
3/16/37
|
1,320,000
|
1,353,713
| |
Verizon
Communications Inc., Senior Notes |
2.650%
|
11/20/40
|
1,830,000
|
1,313,968
| |
Verizon
Communications Inc., Senior Notes |
3.400%
|
3/22/41
|
210,000
|
167,480
| |
Verizon
Communications Inc., Senior Notes |
3.850%
|
11/1/42
|
100,000
|
83,332
| |
Verizon
Communications Inc., Senior Notes |
2.875%
|
11/20/50
|
540,000
|
356,639
| |
Verizon
Communications Inc., Senior Notes |
3.550%
|
3/22/51
|
5,400,000
|
4,067,243
| |
Verizon
Communications Inc., Senior Notes |
3.875%
|
3/1/52
|
2,610,000
|
2,083,919
| |
Total
Diversified Telecommunication Services |
50,334,691
| ||||
Entertainment
— 0.4% | |||||
Warnermedia
Holdings Inc., Senior Notes |
3.755%
|
3/15/27
|
320,000
|
306,634
| |
Warnermedia
Holdings Inc., Senior Notes |
4.054%
|
3/15/29
|
410,000
|
383,194
| |
Warnermedia
Holdings Inc., Senior Notes |
4.279%
|
3/15/32
|
1,830,000
|
1,600,454
| |
Warnermedia
Holdings Inc., Senior Notes |
5.050%
|
3/15/42
|
130,000
|
104,248
| |
Warnermedia
Holdings Inc., Senior Notes |
5.141%
|
3/15/52
|
1,830,000
|
1,392,935
| |
Total
Entertainment |
3,787,465
| ||||
Media
— 3.4% | |||||
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
4.908%
|
7/23/25
|
139,000
|
138,575
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Media
— continued | |||||
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
4.200%
|
3/15/28
|
$700,000
|
$677,646
| |
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
5.050%
|
3/30/29
|
2,000,000
|
1,980,436
| |
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
4.400%
|
4/1/33
|
540,000
|
491,102
| |
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
6.384%
|
10/23/35
|
120,000
|
121,585
| |
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
5.375%
|
4/1/38
|
4,010,000
|
3,651,280
| |
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
3.500%
|
3/1/42
|
290,000
|
199,844
| |
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
6.484%
|
10/23/45
|
400,000
|
382,586
| |
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
5.375%
|
5/1/47
|
910,000
|
759,343
| |
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
5.125%
|
7/1/49
|
2,910,000
|
2,333,447
| |
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
4.800%
|
3/1/50
|
2,670,000
|
2,032,694
| |
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
5.250%
|
4/1/53
|
5,035,000
|
4,126,167
| |
Charter
Communications Operating LLC/Charter
Communications
Operating Capital Corp.,
Senior
Secured Notes |
5.500%
|
4/1/63
|
500,000
|
401,419
| |
Comcast
Corp., Senior Notes |
4.150%
|
10/15/28
|
1,220,000
|
1,211,478
| |
Comcast
Corp., Senior Notes |
3.400%
|
4/1/30
|
280,000
|
265,491
| |
Comcast
Corp., Senior Notes |
4.250%
|
10/15/30
|
5,280,000
|
5,222,135
| |
Comcast
Corp., Senior Notes |
3.750%
|
4/1/40
|
330,000
|
280,650
| |
Comcast
Corp., Senior Notes |
4.000%
|
8/15/47
|
140,000
|
114,915
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Media
— continued | |||||
Comcast
Corp., Senior Notes |
3.969%
|
11/1/47
|
$1,480,000
|
$1,208,947
| |
Comcast
Corp., Senior Notes |
3.450%
|
2/1/50
|
1,010,000
|
749,512
| |
Comcast
Corp., Senior Notes |
2.800%
|
1/15/51
|
1,580,000
|
1,023,121
| |
Comcast
Corp., Senior Notes |
2.887%
|
11/1/51
|
2,000,000
|
1,310,314
| |
Comcast
Corp., Senior Notes |
2.937%
|
11/1/56
|
2,634,000
|
1,676,908
| |
Fox
Corp., Senior Notes |
5.576%
|
1/25/49
|
2,120,000
|
2,052,591
| |
Time
Warner Cable LLC, Senior Secured Notes |
6.550%
|
5/1/37
|
270,000
|
266,576
| |
Time
Warner Cable LLC, Senior Secured Notes |
7.300%
|
7/1/38
|
1,720,000
|
1,800,159
| |
Time
Warner Cable LLC, Senior Secured Notes |
6.750%
|
6/15/39
|
140,000
|
139,312
| |
Time
Warner Cable LLC, Senior Secured Notes |
5.875%
|
11/15/40
|
1,310,000
|
1,183,702
| |
Time
Warner Cable LLC, Senior Secured Notes |
5.500%
|
9/1/41
|
50,000
|
43,318
| |
Total
Media |
35,845,253
| ||||
Wireless
Telecommunication Services — 1.5% | |||||
T-Mobile
USA Inc., Senior Notes |
3.750%
|
4/15/27
|
100,000
|
98,200
| |
T-Mobile
USA Inc., Senior Notes |
2.550%
|
2/15/31
|
540,000
|
474,334
| |
T-Mobile
USA Inc., Senior Notes |
3.500%
|
4/15/31
|
10,970,000
|
10,207,975
| |
T-Mobile
USA Inc., Senior Notes |
2.250%
|
11/15/31
|
2,820,000
|
2,394,050
| |
T-Mobile
USA Inc., Senior Notes |
4.375%
|
4/15/40
|
270,000
|
243,474
| |
T-Mobile
USA Inc., Senior Notes |
3.000%
|
2/15/41
|
1,720,000
|
1,286,065
| |
T-Mobile
USA Inc., Senior Notes |
3.300%
|
2/15/51
|
780,000
|
551,625
| |
Total
Wireless Telecommunication Services |
15,255,723
| ||||
| |||||
Total
Communication Services |
105,223,132
| ||||
Consumer
Discretionary — 4.7% | |||||
Automobiles
— 0.7% | |||||
General
Motors Co., Senior Notes |
6.600%
|
4/1/36
|
350,000
|
379,136
| |
General
Motors Co., Senior Notes |
5.150%
|
4/1/38
|
220,000
|
211,050
| |
General
Motors Co., Senior Notes |
6.250%
|
10/2/43
|
1,000,000
|
1,039,837
| |
General
Motors Co., Senior Notes |
5.200%
|
4/1/45
|
1,000,000
|
918,256
| |
General
Motors Financial Co. Inc., Senior Notes |
4.350%
|
1/17/27
|
260,000
|
257,838
| |
Nissan
Motor Co. Ltd., Senior Notes |
3.522%
|
9/17/25
|
2,190,000
|
2,147,348
(a)
| |
Nissan
Motor Co. Ltd., Senior Notes |
4.345%
|
9/17/27
|
2,000,000
|
1,939,786
(a)
| |
Total
Automobiles |
6,893,251
| ||||
Broadline
Retail — 2.2% | |||||
Amazon.com
Inc., Senior Notes |
2.100%
|
5/12/31
|
11,180,000
|
9,770,857
| |
Amazon.com
Inc., Senior Notes |
3.600%
|
4/13/32
|
8,260,000
|
7,875,504
| |
Amazon.com
Inc., Senior Notes |
3.875%
|
8/22/37
|
510,000
|
468,726
| |
Amazon.com
Inc., Senior Notes |
4.050%
|
8/22/47
|
500,000
|
435,296
| |
Amazon.com
Inc., Senior Notes |
3.100%
|
5/12/51
|
4,880,000
|
3,520,538
| |
Amazon.com
Inc., Senior Notes |
4.250%
|
8/22/57
|
120,000
|
105,684
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Broadline
Retail — continued | |||||
Amazon.com
Inc., Senior Notes |
2.700%
|
6/3/60
|
$1,580,000
|
$983,224
| |
Total
Broadline Retail |
23,159,829
| ||||
Hotels,
Restaurants & Leisure — 1.2% | |||||
Las
Vegas Sands Corp., Senior Notes |
2.900%
|
6/25/25
|
4,920,000
|
4,818,918
| |
McDonald’s
Corp., Senior Notes |
3.625%
|
9/1/49
|
5,570,000
|
4,251,484
| |
Sands
China Ltd., Senior Notes |
5.125%
|
8/8/25
|
1,320,000
|
1,313,943
| |
Sands
China Ltd., Senior Notes |
2.300%
|
3/8/27
|
950,000
|
880,181
| |
Sands
China Ltd., Senior Notes |
5.400%
|
8/8/28
|
1,000,000
|
998,387
| |
Sands
China Ltd., Senior Notes |
2.850%
|
3/8/29
|
570,000
|
511,151
| |
Total
Hotels, Restaurants & Leisure |
12,774,064
| ||||
Specialty
Retail — 0.6% | |||||
Home
Depot Inc., Senior Notes |
3.300%
|
4/15/40
|
1,050,000
|
860,758
| |
Home
Depot Inc., Senior Notes |
4.950%
|
9/15/52
|
3,520,000
|
3,411,010
| |
Lowe’s
Cos. Inc., Senior Notes |
1.700%
|
9/15/28
|
820,000
|
738,152
| |
Lowe’s
Cos. Inc., Senior Notes |
4.500%
|
4/15/30
|
1,200,000
|
1,202,483
| |
Total
Specialty Retail |
6,212,403
| ||||
| |||||
Total
Consumer Discretionary |
49,039,547
| ||||
Consumer
Staples — 2.3% | |||||
Beverages
— 0.2% | |||||
Anheuser-Busch
InBev Worldwide Inc., Senior
Notes
|
4.750%
|
1/23/29
|
620,000
|
631,741
| |
Anheuser-Busch
InBev Worldwide Inc., Senior
Notes
|
4.350%
|
6/1/40
|
410,000
|
378,555
| |
Anheuser-Busch
InBev Worldwide Inc., Senior
Notes
|
4.600%
|
4/15/48
|
1,153,000
|
1,069,633
| |
Total
Beverages |
2,079,929
| ||||
Food
Products — 0.2% | |||||
Mars
Inc., Senior Notes |
3.200%
|
4/1/30
|
2,000,000
|
1,875,868
(a)
| |
Personal
Care Products — 0.2% | |||||
Haleon
US Capital LLC, Senior Notes |
3.375%
|
3/24/27
|
660,000
|
644,042
| |
Haleon
US Capital LLC, Senior Notes |
3.375%
|
3/24/29
|
450,000
|
430,279
| |
Haleon
US Capital LLC, Senior Notes |
3.625%
|
3/24/32
|
710,000
|
659,873
| |
Total
Personal Care Products |
1,734,194
| ||||
Tobacco
— 1.7% | |||||
Altria
Group Inc., Senior Notes |
4.400%
|
2/14/26
|
125,000
|
124,458
| |
Altria
Group Inc., Senior Notes |
4.800%
|
2/14/29
|
44,000
|
44,274
| |
Altria
Group Inc., Senior Notes |
2.450%
|
2/4/32
|
840,000
|
707,018
| |
Altria
Group Inc., Senior Notes |
3.400%
|
2/4/41
|
1,050,000
|
796,938
| |
Altria
Group Inc., Senior Notes |
3.700%
|
2/4/51
|
6,400,000
|
4,632,495
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Tobacco
— continued | |||||
BAT
Capital Corp., Senior Notes |
3.557%
|
8/15/27
|
$2,945,000
|
$2,873,477
| |
BAT
Capital Corp., Senior Notes |
7.750%
|
10/19/32
|
4,140,000
|
4,836,791
| |
Reynolds
American Inc., Senior Notes |
5.850%
|
8/15/45
|
4,150,000
|
4,067,998
| |
Total
Tobacco |
18,083,449
| ||||
| |||||
Total
Consumer Staples |
23,773,440
| ||||
Energy
— 13.4% | |||||
Oil,
Gas & Consumable Fuels — 13.4% | |||||
Apache
Corp., Senior Notes |
4.250%
|
1/15/30
|
200,000
|
191,085
| |
Apache
Corp., Senior Notes |
5.100%
|
9/1/40
|
2,000,000
|
1,770,359
| |
BP
Capital Markets America Inc., Senior Notes |
3.001%
|
3/17/52
|
7,600,000
|
5,148,478
| |
BP
Capital Markets PLC, Senior Notes |
3.723%
|
11/28/28
|
500,000
|
487,545
| |
Cameron
LNG LLC, Senior Secured Notes |
2.902%
|
7/15/31
|
3,470,000
|
3,076,830
(a)
| |
Cameron
LNG LLC, Senior Secured Notes |
3.302%
|
1/15/35
|
2,446,000
|
2,083,267
(a)
| |
Continental
Resources Inc., Senior Notes |
2.268%
|
11/15/26
|
340,000
|
321,215
(a)
| |
Continental
Resources Inc., Senior Notes |
4.375%
|
1/15/28
|
1,680,000
|
1,648,800
| |
Continental
Resources Inc., Senior Notes |
5.750%
|
1/15/31
|
320,000
|
324,674
(a)
| |
Coterra
Energy Inc., Senior Notes |
3.900%
|
5/15/27
|
1,740,000
|
1,705,864
| |
Coterra
Energy Inc., Senior Notes |
4.375%
|
3/15/29
|
2,570,000
|
2,518,009
| |
Devon
Energy Corp., Senior Notes |
5.850%
|
12/15/25
|
1,450,000
|
1,466,433
| |
Devon
Energy Corp., Senior Notes |
4.500%
|
1/15/30
|
350,000
|
346,570
| |
Devon
Energy Corp., Senior Notes |
5.600%
|
7/15/41
|
2,380,000
|
2,324,234
| |
Devon
Energy Corp., Senior Notes |
4.750%
|
5/15/42
|
750,000
|
658,254
| |
Devon
Energy Corp., Senior Notes |
5.000%
|
6/15/45
|
780,000
|
696,479
| |
Diamondback
Energy Inc., Senior Notes |
3.500%
|
12/1/29
|
5,240,000
|
4,954,370
| |
Diamondback
Energy Inc., Senior Notes |
3.125%
|
3/24/31
|
900,000
|
812,561
| |
Ecopetrol
SA, Senior Notes |
5.875%
|
11/2/51
|
10,350,000
|
7,487,445
| |
Energy
Transfer LP, Senior Notes |
2.900%
|
5/15/25
|
2,920,000
|
2,873,311
| |
Energy
Transfer LP, Senior Notes |
4.950%
|
6/15/28
|
190,000
|
192,027
| |
Energy
Transfer LP, Senior Notes |
5.250%
|
4/15/29
|
550,000
|
562,510
| |
Energy
Transfer LP, Senior Notes |
3.750%
|
5/15/30
|
3,040,000
|
2,876,763
| |
Energy
Transfer LP, Senior Notes |
5.300%
|
4/1/44
|
40,000
|
37,408
| |
Energy
Transfer LP, Senior Notes |
5.400%
|
10/1/47
|
640,000
|
599,128
| |
Energy
Transfer LP, Senior Notes |
6.250%
|
4/15/49
|
2,830,000
|
2,947,265
| |
Energy
Transfer LP, Senior Notes |
5.000%
|
5/15/50
|
750,000
|
665,730
| |
Enterprise
Products Operating LLC, Senior
Notes
|
4.150%
|
10/16/28
|
1,710,000
|
1,700,188
| |
Enterprise
Products Operating LLC, Senior
Notes
|
3.125%
|
7/31/29
|
450,000
|
426,484
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Oil,
Gas & Consumable Fuels — continued | |||||
Enterprise
Products Operating LLC, Senior
Notes
|
2.800%
|
1/31/30
|
$2,420,000
|
$2,238,369
| |
Enterprise
Products Operating LLC, Senior
Notes
|
4.800%
|
2/1/49
|
320,000
|
293,533
| |
Enterprise
Products Operating LLC, Senior
Notes
|
4.200%
|
1/31/50
|
110,000
|
92,269
| |
Enterprise
Products Operating LLC, Senior
Notes
|
3.700%
|
1/31/51
|
210,000
|
161,304
| |
Enterprise
Products Operating LLC, Senior
Notes
|
3.950%
|
1/31/60
|
2,380,000
|
1,829,761
| |
Enterprise
Products Operating LLC, Senior
Notes
(5.375% to 2/15/28 then 3 mo. Term
SOFR
+ 2.832%) |
5.375%
|
2/15/78
|
2,450,000
|
2,306,910
(b)
| |
EOG
Resources Inc., Senior Notes |
4.150%
|
1/15/26
|
2,190,000
|
2,184,761
| |
EOG
Resources Inc., Senior Notes |
4.375%
|
4/15/30
|
2,130,000
|
2,134,083
| |
EOG
Resources Inc., Senior Notes |
4.950%
|
4/15/50
|
5,580,000
|
5,293,923
| |
EQT
Corp., Senior Notes |
7.000%
|
2/1/30
|
5,000,000
|
5,450,545
| |
Exxon
Mobil Corp., Senior Notes |
3.482%
|
3/19/30
|
1,990,000
|
1,917,079
| |
Exxon
Mobil Corp., Senior Notes |
4.114%
|
3/1/46
|
2,060,000
|
1,795,097
| |
Exxon
Mobil Corp., Senior Notes |
4.327%
|
3/19/50
|
2,720,000
|
2,413,651
| |
KazMunayGas
National Co. JSC, Senior Notes |
5.750%
|
4/19/47
|
12,290,000
|
11,178,013
(a)
| |
Kinder
Morgan Inc., Senior Notes |
4.300%
|
3/1/28
|
1,280,000
|
1,273,674
| |
Kinder
Morgan Inc., Senior Notes |
5.550%
|
6/1/45
|
200,000
|
194,173
| |
MPLX
LP, Senior Notes |
4.125%
|
3/1/27
|
550,000
|
544,064
| |
Occidental
Petroleum Corp., Senior Notes |
5.550%
|
3/15/26
|
2,640,000
|
2,663,879
| |
Occidental
Petroleum Corp., Senior Notes |
3.400%
|
4/15/26
|
1,500,000
|
1,463,499
| |
Occidental
Petroleum Corp., Senior Notes |
3.200%
|
8/15/26
|
200,000
|
193,559
| |
Occidental
Petroleum Corp., Senior Notes |
3.000%
|
2/15/27
|
2,300,000
|
2,195,732
| |
Occidental
Petroleum Corp., Senior Notes |
7.500%
|
5/1/31
|
600,000
|
681,035
| |
Occidental
Petroleum Corp., Senior Notes |
7.875%
|
9/15/31
|
200,000
|
231,026
| |
Occidental
Petroleum Corp., Senior Notes |
6.450%
|
9/15/36
|
200,000
|
216,878
| |
Occidental
Petroleum Corp., Senior Notes |
4.400%
|
4/15/46
|
950,000
|
780,137
| |
Occidental
Petroleum Corp., Senior Notes |
4.100%
|
2/15/47
|
3,360,000
|
2,517,298
| |
Occidental
Petroleum Corp., Senior Notes |
4.200%
|
3/15/48
|
450,000
|
348,717
| |
Pertamina
Persero PT, Senior Notes |
5.625%
|
5/20/43
|
4,500,000
|
4,543,923
(a)
| |
Petrobras
Global Finance BV, Senior Notes |
6.850%
|
6/5/2115
|
3,000,000
|
2,833,987
| |
Petroleos
del Peru SA, Senior Notes |
4.750%
|
6/19/32
|
2,280,000
|
1,722,420
(a)
| |
Petroleos
Mexicanos, Senior Notes |
6.375%
|
1/23/45
|
1,100,000
|
739,111
| |
Petroleos
Mexicanos, Senior Notes |
6.750%
|
9/21/47
|
1,307,000
|
895,438
| |
Pioneer
Natural Resources Co., Senior Notes |
1.125%
|
1/15/26
|
520,000
|
497,021
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Oil,
Gas & Consumable Fuels — continued | |||||
Pioneer
Natural Resources Co., Senior Notes |
1.900%
|
8/15/30
|
$660,000
|
$575,218
| |
Pioneer
Natural Resources Co., Senior Notes |
2.150%
|
1/15/31
|
1,540,000
|
1,340,234
| |
Shell
International Finance BV, Senior Notes |
4.550%
|
8/12/43
|
1,000,000
|
937,109
| |
Shell
International Finance BV, Senior Notes |
4.375%
|
5/11/45
|
1,500,000
|
1,338,246
| |
Shell
International Finance BV, Senior Notes |
3.250%
|
4/6/50
|
1,000,000
|
726,821
| |
Targa
Resources Corp., Senior Notes |
6.250%
|
7/1/52
|
290,000
|
303,926
| |
Targa
Resources Partners LP/Targa Resources
Partners
Finance Corp., Senior Notes |
4.875%
|
2/1/31
|
1,800,000
|
1,769,012
| |
Tennessee
Gas Pipeline Co. LLC, Senior Notes |
2.900%
|
3/1/30
|
2,630,000
|
2,385,450
(a)
| |
Transcontinental
Gas Pipe Line Co. LLC, Senior
Notes
|
7.850%
|
2/1/26
|
4,360,000
|
4,509,890
| |
Transcontinental
Gas Pipe Line Co. LLC, Senior
Notes
|
3.250%
|
5/15/30
|
530,000
|
492,293
| |
Transcontinental
Gas Pipe Line Co. LLC, Senior
Notes
|
3.950%
|
5/15/50
|
2,650,000
|
2,088,561
| |
Western
Midstream Operating LP, Senior Notes |
3.100%
|
2/1/25
|
1,380,000
|
1,364,720
| |
Western
Midstream Operating LP, Senior Notes |
4.500%
|
3/1/28
|
300,000
|
296,909
| |
Western
Midstream Operating LP, Senior Notes |
4.050%
|
2/1/30
|
2,680,000
|
2,566,972
| |
Western
Midstream Operating LP, Senior Notes |
5.250%
|
2/1/50
|
400,000
|
362,061
| |
Williams
Cos. Inc., Senior Notes |
3.750%
|
6/15/27
|
1,870,000
|
1,831,756
| |
Williams
Cos. Inc., Senior Notes |
8.750%
|
3/15/32
|
280,000
|
340,256
| |
Williams
Cos. Inc., Senior Notes |
5.100%
|
9/15/45
|
1,470,000
|
1,368,107
| |
| |||||
Total
Energy |
139,325,696
| ||||
Financials
— 24.4% | |||||
Banks
— 15.5% | |||||
ABN
AMRO Bank NV, Subordinated Notes |
4.750%
|
7/28/25
|
1,850,000
|
1,839,861
(a)
| |
ABN
AMRO Bank NV, Subordinated Notes |
4.800%
|
4/18/26
|
3,000,000
|
2,986,582
(a)
| |
Banco
Santander SA, Senior Notes (4.175% to
3/24/27
then 1 year Treasury Constant Maturity
Rate
+ 2.000%) |
4.175%
|
3/24/28
|
800,000
|
786,871
(b)
| |
Bank
of America Corp., Senior Notes |
5.000%
|
1/21/44
|
2,910,000
|
2,898,865
| |
Bank
of America Corp., Senior Notes (2.572% to
10/20/31
then SOFR + 1.210%) |
2.572%
|
10/20/32
|
13,500,000
|
11,682,019
(b)
| |
Bank
of America Corp., Senior Notes (2.592% to
4/29/30
then SOFR + 2.150%) |
2.592%
|
4/29/31
|
600,000
|
538,430
(b)
| |
Bank
of America Corp., Senior Notes (2.972% to
2/4/32
then SOFR + 1.330%) |
2.972%
|
2/4/33
|
3,240,000
|
2,857,616
(b)
| |
Bank
of America Corp., Senior Notes (3.419% to
12/20/27
then 3 mo. Term SOFR + 1.302%) |
3.419%
|
12/20/28
|
599,000
|
577,683
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Banks
— continued | |||||
Bank
of America Corp., Senior Notes (3.593% to
7/21/27
then 3 mo. Term SOFR + 1.632%) |
3.593%
|
7/21/28
|
$500,000
|
$487,017
(b)
| |
Bank
of America Corp., Senior Notes (4.376% to
4/27/27
then SOFR + 1.580%) |
4.376%
|
4/27/28
|
5,480,000
|
5,452,089
(b)
| |
Bank
of America Corp., Subordinated Notes |
4.450%
|
3/3/26
|
1,010,000
|
1,006,910
| |
Bank
of Nova Scotia, Subordinated Notes
(4.588%
to 5/4/32 then 5 year Treasury
Constant
Maturity Rate + 2.050%) |
4.588%
|
5/4/37
|
4,450,000
|
4,176,091
(b)
| |
Barclays
PLC, Senior Notes (4.972% to 5/16/28
then
3 mo. USD LIBOR + 1.902%) |
4.972%
|
5/16/29
|
590,000
|
592,024
(b)
| |
Barclays
PLC, Subordinated Notes (5.088% to
6/20/29
then 3 mo. USD LIBOR + 3.054%) |
5.088%
|
6/20/30
|
3,160,000
|
3,149,207
(b)
| |
BNP
Paribas SA, Senior Notes |
4.400%
|
8/14/28
|
670,000
|
664,310
(a)
| |
BNP
Paribas SA, Senior Notes (2.219% to
6/9/25
then SOFR + 2.074%) |
2.219%
|
6/9/26
|
1,080,000
|
1,055,260
(a)(b)
| |
BNP
Paribas SA, Senior Notes (3.052% to
1/13/30
then SOFR + 1.507%) |
3.052%
|
1/13/31
|
5,000,000
|
4,572,384
(a)(b)
| |
BNP
Paribas SA, Subordinated Notes |
4.375%
|
5/12/26
|
6,490,000
|
6,422,822
(a)
| |
BNP
Paribas SA, Subordinated Notes |
4.625%
|
3/13/27
|
5,200,000
|
5,162,355
(a)
| |
BPCE
SA, Subordinated Notes |
4.875%
|
4/1/26
|
3,000,000
|
2,982,410
(a)
| |
Citigroup
Inc., Senior Notes |
8.125%
|
7/15/39
|
2,190,000
|
2,851,406
| |
Citigroup
Inc., Senior Notes |
4.650%
|
7/23/48
|
980,000
|
894,198
| |
Citigroup
Inc., Senior Notes (2.572% to 6/3/30
then
SOFR + 2.107%) |
2.572%
|
6/3/31
|
1,460,000
|
1,299,157
(b)
| |
Citigroup
Inc., Senior Notes (3.785% to 3/17/32
then
SOFR + 1.939%) |
3.785%
|
3/17/33
|
260,000
|
240,103
(b)
| |
Citigroup
Inc., Senior Notes (4.910% to 5/24/32
then
SOFR + 2.086%) |
4.910%
|
5/24/33
|
14,500,000
|
14,429,811
(b)
| |
Citigroup
Inc., Subordinated Notes |
4.450%
|
9/29/27
|
1,990,000
|
1,980,962
| |
Citigroup
Inc., Subordinated Notes |
5.300%
|
5/6/44
|
363,000
|
356,913
| |
Citigroup
Inc., Subordinated Notes |
4.750%
|
5/18/46
|
670,000
|
606,299
| |
Cooperatieve
Rabobank UA, Senior Notes |
4.375%
|
8/4/25
|
2,280,000
|
2,264,076
| |
Cooperatieve
Rabobank UA, Senior Notes |
3.750%
|
7/21/26
|
3,060,000
|
2,996,034
| |
Cooperatieve
Rabobank UA, Senior Notes
(3.758%
to 4/6/32 then 1 year Treasury
Constant
Maturity Rate + 1.420%) |
3.758%
|
4/6/33
|
2,110,000
|
1,947,024
(a)(b)
| |
Danske
Bank A/S, Senior Notes (3.244% to
12/20/24
then 3 mo. USD LIBOR + 1.591%) |
3.244%
|
12/20/25
|
2,000,000
|
1,986,690
(a)(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Banks
— continued | |||||
Danske
Bank A/S, Senior Notes (4.298% to
4/1/27
then 1 year Treasury Constant Maturity
Rate
+ 1.750%) |
4.298%
|
4/1/28
|
$2,880,000
|
$2,848,037
(a)(b)
| |
HSBC
Holdings PLC, Senior Notes (4.583% to
6/19/28
then 3 mo. Term SOFR + 1.796%) |
4.583%
|
6/19/29
|
200,000
|
198,597
(b)
| |
HSBC
Holdings PLC, Subordinated Notes |
4.250%
|
8/18/25
|
730,000
|
724,187
| |
HSBC
Holdings PLC, Subordinated Notes
(4.762%
to 3/29/32 then SOFR + 2.530%) |
4.762%
|
3/29/33
|
3,720,000
|
3,588,860
(b)
| |
JPMorgan
Chase & Co., Senior Notes (2.083%
to
4/22/25 then SOFR + 1.850%) |
2.083%
|
4/22/26
|
170,000
|
166,799
(b)
| |
JPMorgan
Chase & Co., Senior Notes (2.522%
to
4/22/30 then SOFR + 2.040%) |
2.522%
|
4/22/31
|
2,850,000
|
2,558,269
(b)
| |
JPMorgan
Chase & Co., Senior Notes (3.109%
to
4/22/50 then SOFR + 2.440%) |
3.109%
|
4/22/51
|
1,280,000
|
921,398
(b)
| |
JPMorgan
Chase & Co., Senior Notes (3.897%
to
1/23/48 then 3 mo. Term SOFR + 1.482%) |
3.897%
|
1/23/49
|
380,000
|
316,665
(b)
| |
JPMorgan
Chase & Co., Senior Notes (4.032%
to
7/24/47 then 3 mo. Term SOFR + 1.722%) |
4.032%
|
7/24/48
|
2,500,000
|
2,124,283
(b)
| |
JPMorgan
Chase & Co., Senior Notes (4.203%
to
7/23/28 then 3 mo. Term SOFR + 1.522%) |
4.203%
|
7/23/29
|
570,000
|
563,115
(b)
| |
JPMorgan
Chase & Co., Senior Notes (4.912%
to
7/25/32 then SOFR + 2.080%) |
4.912%
|
7/25/33
|
19,705,000
|
19,824,220
(b)
| |
JPMorgan
Chase & Co., Subordinated Notes |
4.250%
|
10/1/27
|
1,330,000
|
1,327,501
| |
JPMorgan
Chase & Co., Subordinated Notes |
4.950%
|
6/1/45
|
850,000
|
831,992
| |
JPMorgan
Chase & Co., Subordinated Notes
(2.956%
to 5/13/30 then 3 mo. Term SOFR +
2.515%)
|
2.956%
|
5/13/31
|
600,000
|
545,929
(b)
| |
Lloyds
Banking Group PLC, Senior Notes |
4.375%
|
3/22/28
|
2,420,000
|
2,402,142
| |
Lloyds
Banking Group PLC, Subordinated Notes |
4.582%
|
12/10/25
|
467,000
|
463,563
| |
NatWest
Group PLC, Senior Notes (5.076% to
1/27/29
then 3 mo. USD LIBOR + 1.905%) |
5.076%
|
1/27/30
|
4,000,000
|
4,048,279
(b)
| |
PNC
Financial Services Group Inc., Senior Notes
(5.582%
to 6/12/28 then SOFR + 1.841%) |
5.582%
|
6/12/29
|
1,090,000
|
1,126,151
(b)
| |
Santander
UK Group Holdings PLC,
Subordinated
Notes |
5.625%
|
9/15/45
|
919,000
|
792,409
(a)
| |
US
Bancorp, Senior Notes (5.775% to 6/12/28
then
SOFR + 2.020%) |
5.775%
|
6/12/29
|
770,000
|
799,745
(b)
| |
US
Bancorp, Senior Notes (5.836% to 6/10/33
then
SOFR + 2.260%) |
5.836%
|
6/12/34
|
270,000
|
283,815
(b)
| |
Wells
Fargo & Co., Senior Notes (3.350% to
3/2/32
then SOFR + 1.500%) |
3.350%
|
3/2/33
|
130,000
|
117,019
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Banks
— continued | |||||
Wells
Fargo & Co., Senior Notes (4.611% to
4/25/52
then SOFR + 2.130%) |
4.611%
|
4/25/53
|
$13,227,000
|
$11,989,852
(b)
| |
Wells
Fargo & Co., Senior Notes (5.557% to
7/25/33
then SOFR + 1.990%) |
5.557%
|
7/25/34
|
2,450,000
|
2,529,810
(b)
| |
Wells
Fargo & Co., Senior Notes (5.574% to
7/25/28
then SOFR + 1.740%) |
5.574%
|
7/25/29
|
1,020,000
|
1,053,621
(b)
| |
Wells
Fargo & Co., Subordinated Notes |
4.100%
|
6/3/26
|
400,000
|
396,287
| |
Wells
Fargo & Co., Subordinated Notes |
5.375%
|
11/2/43
|
590,000
|
584,318
| |
Wells
Fargo & Co., Subordinated Notes |
4.650%
|
11/4/44
|
1,590,000
|
1,419,359
| |
Wells
Fargo & Co., Subordinated Notes |
4.900%
|
11/17/45
|
3,780,000
|
3,467,856
| |
Wells
Fargo & Co., Subordinated Notes |
4.400%
|
6/14/46
|
990,000
|
842,483
| |
Total
Banks |
160,600,040
| ||||
Capital
Markets — 5.9% | |||||
Goldman
Sachs Group Inc., Senior Notes |
4.750%
|
10/21/45
|
1,740,000
|
1,647,024
| |
Goldman
Sachs Group Inc., Senior Notes
(2.908%
to 7/21/41 then SOFR + 1.472%) |
2.908%
|
7/21/42
|
1,980,000
|
1,461,307
(b)
| |
Goldman
Sachs Group Inc., Senior Notes
(3.210%
to 4/22/41 then SOFR + 1.513%) |
3.210%
|
4/22/42
|
420,000
|
325,093
(b)
| |
Goldman
Sachs Group Inc., Senior Notes
(3.436%
to 2/24/42 then SOFR + 1.632%) |
3.436%
|
2/24/43
|
5,980,000
|
4,737,935
(b)
| |
Goldman
Sachs Group Inc., Senior Notes
(4.223%
to 5/1/28 then 3 mo. Term SOFR +
1.563%)
|
4.223%
|
5/1/29
|
1,000,000
|
986,432
(b)
| |
Goldman
Sachs Group Inc., Subordinated Notes |
4.250%
|
10/21/25
|
1,010,000
|
1,002,991
| |
Goldman
Sachs Group Inc., Subordinated Notes |
6.750%
|
10/1/37
|
1,540,000
|
1,736,776
| |
Goldman
Sachs Group Inc., Subordinated Notes |
5.150%
|
5/22/45
|
1,010,000
|
993,138
| |
KKR
Group Finance Co. III LLC, Senior Notes |
5.125%
|
6/1/44
|
500,000
|
469,968
(a)
| |
Morgan
Stanley, Senior Notes (2.699% to
1/22/30
then SOFR + 1.143%) |
2.699%
|
1/22/31
|
3,710,000
|
3,360,034
(b)
| |
Morgan
Stanley, Senior Notes (6.342% to
10/18/32
then SOFR + 2.560%) |
6.342%
|
10/18/33
|
15,200,000
|
16,647,226
(b)
| |
UBS
AG, Senior Notes |
3.625%
|
9/9/24
|
550,000
|
549,838
| |
UBS
Group AG, Senior Notes |
4.125%
|
9/24/25
|
1,440,000
|
1,427,382
(a)
| |
UBS
Group AG, Senior Notes |
4.253%
|
3/23/28
|
10,060,000
|
9,903,224
(a)
| |
UBS
Group AG, Senior Notes (3.126% to
8/13/29
then 3 mo. USD LIBOR + 1.468%) |
3.126%
|
8/13/30
|
4,040,000
|
3,742,737
(a)(b)
| |
UBS
Group AG, Senior Notes (4.194% to 4/1/30
then
SOFR + 3.730%) |
4.194%
|
4/1/31
|
11,760,000
|
11,367,751
(a)(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Capital
Markets — continued | |||||
UBS
Group AG, Senior Notes (6.537% to
8/12/32
then SOFR + 3.920%) |
6.537%
|
8/12/33
|
$730,000
|
$792,219
(a)(b)
| |
Total
Capital Markets |
61,151,075
| ||||
Financial
Services — 2.2% | |||||
AerCap
Ireland Capital DAC/AerCap Global
Aviation
Trust, Senior Notes |
2.450%
|
10/29/26
|
1,450,000
|
1,382,266
| |
AerCap
Ireland Capital DAC/AerCap Global
Aviation
Trust, Senior Notes |
3.000%
|
10/29/28
|
1,130,000
|
1,057,269
| |
AerCap
Ireland Capital DAC/AerCap Global
Aviation
Trust, Senior Notes |
3.300%
|
1/30/32
|
690,000
|
613,624
| |
Carlyle
Holdings II Finance LLC, Senior Notes |
5.625%
|
3/30/43
|
400,000
|
396,218
(a)
| |
Mastercard
Inc., Senior Notes |
3.650%
|
6/1/49
|
12,960,000
|
10,477,964
| |
National
Securities Clearing Corp., Senior
Notes
|
1.500%
|
4/23/25
|
380,000
|
372,011
(a)
| |
Visa
Inc., Senior Notes |
4.300%
|
12/14/45
|
7,985,000
|
7,244,862
| |
Voya
Financial Inc., Senior Notes |
5.700%
|
7/15/43
|
1,440,000
|
1,438,878
| |
Total
Financial Services |
22,983,092
| ||||
Insurance
— 0.8% | |||||
Brighthouse
Financial Inc., Senior Notes |
4.700%
|
6/22/47
|
413,000
|
326,953
| |
MetLife
Inc., Senior Notes |
4.050%
|
3/1/45
|
500,000
|
423,698
| |
Teachers
Insurance & Annuity Association of
America,
Subordinated Notes |
4.900%
|
9/15/44
|
900,000
|
843,771
(a)
| |
Teachers
Insurance & Annuity Association of
America,
Subordinated Notes |
4.270%
|
5/15/47
|
7,580,000
|
6,434,003
(a)
| |
Total
Insurance |
8,028,425
| ||||
Mortgage
Real Estate Investment Trusts (REITs) — 0.0%†† | |||||
Blackstone
Holdings Finance Co. LLC, Senior
Notes
|
5.000%
|
6/15/44
|
500,000
|
475,903
(a)
| |
| |||||
Total
Financials |
253,238,535
| ||||
Health
Care — 8.8% | |||||
Biotechnology
— 2.6% | |||||
AbbVie
Inc., Senior Notes |
2.950%
|
11/21/26
|
1,450,000
|
1,409,512
| |
AbbVie
Inc., Senior Notes |
3.200%
|
11/21/29
|
7,710,000
|
7,307,678
| |
AbbVie
Inc., Senior Notes |
4.400%
|
11/6/42
|
6,270,000
|
5,763,836
| |
AbbVie
Inc., Senior Notes |
4.875%
|
11/14/48
|
8,190,000
|
7,878,477
| |
Gilead
Sciences Inc., Senior Notes |
3.650%
|
3/1/26
|
2,210,000
|
2,181,185
| |
Gilead
Sciences Inc., Senior Notes |
4.800%
|
4/1/44
|
400,000
|
375,957
| |
Gilead
Sciences Inc., Senior Notes |
4.750%
|
3/1/46
|
2,700,000
|
2,503,065
| |
Total
Biotechnology |
27,419,710
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Health
Care Equipment & Supplies — 0.8% | |||||
Abbott
Laboratories, Senior Notes |
4.750%
|
11/30/36
|
$1,660,000
|
$1,680,882
| |
Abbott
Laboratories, Senior Notes |
4.900%
|
11/30/46
|
6,130,000
|
6,072,372
| |
Becton
Dickinson & Co., Senior Notes |
4.685%
|
12/15/44
|
357,000
|
324,515
| |
Total
Health Care Equipment & Supplies |
8,077,769
| ||||
Health
Care Providers & Services — 4.6% | |||||
Cigna
Group, Senior Notes |
4.375%
|
10/15/28
|
700,000
|
696,320
| |
Cigna
Group, Senior Notes |
4.800%
|
8/15/38
|
1,680,000
|
1,611,779
| |
Cigna
Group, Senior Notes |
3.400%
|
3/15/50
|
8,900,000
|
6,352,338
| |
CVS
Health Corp., Senior Notes |
4.300%
|
3/25/28
|
438,000
|
432,843
| |
CVS
Health Corp., Senior Notes |
2.125%
|
9/15/31
|
590,000
|
490,237
| |
CVS
Health Corp., Senior Notes |
5.125%
|
7/20/45
|
4,030,000
|
3,642,217
| |
CVS
Health Corp., Senior Notes |
4.250%
|
4/1/50
|
5,590,000
|
4,398,107
| |
Elevance
Health Inc., Senior Notes |
3.650%
|
12/1/27
|
2,990,000
|
2,925,950
| |
Elevance
Health Inc., Senior Notes |
4.100%
|
5/15/32
|
4,100,000
|
3,957,689
| |
Humana
Inc., Senior Notes |
3.950%
|
3/15/27
|
130,000
|
128,065
| |
Humana
Inc., Senior Notes |
3.700%
|
3/23/29
|
1,350,000
|
1,303,639
| |
Humana
Inc., Senior Notes |
2.150%
|
2/3/32
|
2,190,000
|
1,817,016
| |
Humana
Inc., Senior Notes |
4.950%
|
10/1/44
|
2,470,000
|
2,246,280
| |
Humana
Inc., Senior Notes |
4.800%
|
3/15/47
|
2,000,000
|
1,769,150
| |
UnitedHealth
Group Inc., Senior Notes |
4.000%
|
5/15/29
|
5,140,000
|
5,088,835
| |
UnitedHealth
Group Inc., Senior Notes |
4.200%
|
5/15/32
|
3,240,000
|
3,163,797
| |
UnitedHealth
Group Inc., Senior Notes |
4.750%
|
7/15/45
|
1,140,000
|
1,075,825
| |
UnitedHealth
Group Inc., Senior Notes |
4.250%
|
6/15/48
|
130,000
|
112,279
| |
UnitedHealth
Group Inc., Senior Notes |
4.450%
|
12/15/48
|
1,020,000
|
911,502
| |
UnitedHealth
Group Inc., Senior Notes |
3.700%
|
8/15/49
|
780,000
|
615,444
| |
UnitedHealth
Group Inc., Senior Notes |
5.875%
|
2/15/53
|
1,530,000
|
1,655,285
| |
UnitedHealth
Group Inc., Senior Notes |
3.125%
|
5/15/60
|
4,620,000
|
3,077,454
| |
Total
Health Care Providers & Services |
47,472,051
| ||||
Pharmaceuticals
— 0.8% | |||||
Pfizer
Inc., Senior Notes |
2.550%
|
5/28/40
|
2,270,000
|
1,653,341
| |
Pfizer
Inc., Senior Notes |
4.000%
|
3/15/49
|
5,770,000
|
4,885,693
| |
Teva
Pharmaceutical Finance Netherlands III BV,
Senior
Notes |
3.150%
|
10/1/26
|
2,500,000
|
2,395,951
| |
Total
Pharmaceuticals |
8,934,985
| ||||
| |||||
Total
Health Care |
91,904,515
| ||||
Industrials
— 4.6% | |||||
Aerospace
& Defense — 3.2% | |||||
Boeing
Co., Senior Notes |
2.500%
|
3/1/25
|
500,000
|
492,106
| |
Boeing
Co., Senior Notes |
3.100%
|
5/1/26
|
500,000
|
483,760
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Aerospace
& Defense — continued | |||||
Boeing
Co., Senior Notes |
2.800%
|
3/1/27
|
$630,000
|
$597,002
| |
Boeing
Co., Senior Notes |
3.200%
|
3/1/29
|
1,450,000
|
1,337,799
| |
Boeing
Co., Senior Notes |
3.250%
|
2/1/35
|
1,720,000
|
1,388,543
| |
Boeing
Co., Senior Notes |
5.705%
|
5/1/40
|
570,000
|
554,500
| |
Boeing
Co., Senior Notes |
3.750%
|
2/1/50
|
780,000
|
539,278
| |
L3Harris
Technologies Inc., Senior Notes |
5.054%
|
4/27/45
|
950,000
|
911,300
| |
Lockheed
Martin Corp., Senior Notes |
3.900%
|
6/15/32
|
2,380,000
|
2,303,708
| |
Lockheed
Martin Corp., Senior Notes |
4.500%
|
5/15/36
|
5,000,000
|
4,918,567
| |
Lockheed
Martin Corp., Senior Notes |
4.090%
|
9/15/52
|
16,160,000
|
13,771,873
| |
Northrop
Grumman Corp., Senior Notes |
4.030%
|
10/15/47
|
4,750,000
|
3,970,588
| |
RTX
Corp., Senior Notes |
4.050%
|
5/4/47
|
2,430,000
|
2,014,906
| |
Total
Aerospace & Defense |
33,283,930
| ||||
Air
Freight & Logistics — 0.7% | |||||
DP
World Ltd., Senior Notes |
5.625%
|
9/25/48
|
7,000,000
|
6,987,138
(a)
| |
Building
Products — 0.1% | |||||
Carrier
Global Corp., Senior Notes |
2.722%
|
2/15/30
|
760,000
|
695,869
| |
Carrier
Global Corp., Senior Notes |
2.700%
|
2/15/31
|
110,000
|
97,907
| |
Carrier
Global Corp., Senior Notes |
3.577%
|
4/5/50
|
21,000
|
16,103
| |
Total
Building Products |
809,879
| ||||
Ground
Transportation — 0.5% | |||||
Union
Pacific Corp., Senior Notes |
2.891%
|
4/6/36
|
2,110,000
|
1,782,582
| |
Union
Pacific Corp., Senior Notes |
3.839%
|
3/20/60
|
2,930,000
|
2,272,558
| |
Union
Pacific Corp., Senior Notes |
3.750%
|
2/5/70
|
1,680,000
|
1,235,634
| |
Total
Ground Transportation |
5,290,774
| ||||
Passenger
Airlines — 0.1% | |||||
Delta
Air Lines Inc., Senior Notes |
2.900%
|
10/28/24
|
1,500,000
|
1,493,219
| |
Delta
Air Lines Inc./SkyMiles IP Ltd., Senior
Secured
Notes |
4.500%
|
10/20/25
|
63,750
|
63,511
(a)
| |
Delta
Air Lines Inc./SkyMiles IP Ltd., Senior
Secured
Notes |
4.750%
|
10/20/28
|
150,000
|
148,596
(a)
| |
Total
Passenger Airlines |
1,705,326
| ||||
| |||||
Total
Industrials |
48,077,047
| ||||
Information
Technology — 2.9% | |||||
Semiconductors
& Semiconductor Equipment — 1.2% | |||||
Applied
Materials Inc., Senior Notes |
1.750%
|
6/1/30
|
2,100,000
|
1,827,289
| |
Broadcom
Inc., Senior Notes |
4.150%
|
11/15/30
|
709,000
|
690,821
| |
Broadcom
Inc., Senior Notes |
3.137%
|
11/15/35
|
1,180,000
|
986,916
(a)
| |
Broadcom
Inc., Senior Notes |
3.187%
|
11/15/36
|
90,000
|
74,504
(a)
| |
Broadcom
Inc., Senior Notes |
4.926%
|
5/15/37
|
959,000
|
937,381
(a)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Semiconductors
& Semiconductor Equipment — continued | |||||
Intel
Corp., Senior Notes |
4.750%
|
3/25/50
|
$1,950,000
|
$1,637,396
| |
Intel
Corp., Senior Notes |
3.050%
|
8/12/51
|
820,000
|
509,835
| |
Texas
Instruments Inc., Senior Notes |
3.650%
|
8/16/32
|
2,650,000
|
2,533,817
| |
TSMC
Arizona Corp., Senior Notes |
1.750%
|
10/25/26
|
700,000
|
662,614
| |
TSMC
Arizona Corp., Senior Notes |
2.500%
|
10/25/31
|
2,880,000
|
2,514,095
| |
Total
Semiconductors & Semiconductor Equipment |
12,374,668
| ||||
Software
— 1.4% | |||||
Oracle
Corp., Senior Notes |
1.650%
|
3/25/26
|
5,490,000
|
5,243,698
| |
Oracle
Corp., Senior Notes |
2.950%
|
4/1/30
|
400,000
|
367,475
| |
Oracle
Corp., Senior Notes |
3.250%
|
5/15/30
|
5,490,000
|
5,122,064
| |
Workday
Inc., Senior Notes |
3.700%
|
4/1/29
|
3,697,000
|
3,573,798
| |
Total
Software |
14,307,035
| ||||
Technology
Hardware, Storage & Peripherals — 0.3% | |||||
Apple
Inc., Senior Notes |
3.950%
|
8/8/52
|
3,864,000
|
3,330,615
| |
| |||||
Total
Information Technology |
30,012,318
| ||||
Materials
— 3.9% | |||||
Chemicals
— 0.1% | |||||
OCP
SA, Senior Notes |
4.500%
|
10/22/25
|
720,000
|
713,680
(a)
| |
Metals
& Mining — 2.5% | |||||
Anglo
American Capital PLC, Senior Notes |
3.625%
|
9/11/24
|
280,000
|
279,859
(a)
| |
Anglo
American Capital PLC, Senior Notes |
4.000%
|
9/11/27
|
3,600,000
|
3,523,852
(a)
| |
Barrick
North America Finance LLC, Senior
Notes
|
5.700%
|
5/30/41
|
6,750,000
|
6,974,501
| |
Barrick
North America Finance LLC, Senior
Notes
|
5.750%
|
5/1/43
|
1,000,000
|
1,032,641
| |
Freeport-McMoRan
Inc., Senior Notes |
5.450%
|
3/15/43
|
5,340,000
|
5,234,088
| |
Southern
Copper Corp., Senior Notes |
5.250%
|
11/8/42
|
9,380,000
|
9,060,212
| |
Total
Metals & Mining |
26,105,153
| ||||
Paper
& Forest Products — 1.3% | |||||
Celulosa
Arauco y Constitucion SA, Senior
Notes
|
5.500%
|
4/30/49
|
7,500,000
|
7,098,652
(a)
| |
Suzano
Austria GmbH, Senior Notes |
6.000%
|
1/15/29
|
3,880,000
|
3,961,689
| |
Suzano
Austria GmbH, Senior Notes |
3.750%
|
1/15/31
|
3,000,000
|
2,729,137
| |
Total
Paper & Forest Products |
13,789,478
| ||||
| |||||
Total
Materials |
40,608,311
| ||||
Real
Estate — 0.2% | |||||
Retail
REITs — 0.2% | |||||
WEA
Finance LLC/Westfield UK & Europe
Finance
PLC, Senior Notes |
3.750%
|
9/17/24
|
1,910,000
|
1,907,094
(a)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Retail
REITs — continued | |||||
WEA
Finance LLC/Westfield UK & Europe
Finance
PLC, Senior Notes |
4.750%
|
9/17/44
|
$400,000
|
$322,013
(a)
| |
| |||||
Total
Real Estate |
2,229,107
| ||||
Utilities
— 5.5% | |||||
Electric
Utilities — 5.5% | |||||
American
Transmission Systems Inc., Senior
Notes
|
2.650%
|
1/15/32
|
2,400,000
|
2,078,507
(a)
| |
Duke
Energy Indiana LLC, First Mortgage Bonds |
3.250%
|
10/1/49
|
700,000
|
499,263
| |
FirstEnergy
Corp., Senior Notes |
3.900%
|
7/15/27
|
9,960,000
|
9,779,066
| |
FirstEnergy
Corp., Senior Notes |
4.850%
|
7/15/47
|
13,220,000
|
11,811,866
| |
MidAmerican
Energy Co., First Mortgage Bonds |
3.950%
|
8/1/47
|
3,751,000
|
3,075,963
| |
Pacific
Gas and Electric Co., First Mortgage
Bonds
|
2.100%
|
8/1/27
|
1,610,000
|
1,496,845
| |
Pacific
Gas and Electric Co., First Mortgage
Bonds
|
3.500%
|
8/1/50
|
580,000
|
401,138
| |
Perusahaan
Perseroan Persero PT Perusahaan
Listrik
Negara, Senior Notes |
5.250%
|
5/15/47
|
8,000,000
|
7,381,527
(c)
| |
Perusahaan
Perseroan Persero PT Perusahaan
Listrik
Negara, Senior Notes |
6.250%
|
1/25/49
|
5,000,000
|
5,215,635
(a)
| |
Perusahaan
Perseroan Persero PT Perusahaan
Listrik
Negara, Senior Notes |
4.875%
|
7/17/49
|
4,450,000
|
3,825,030
(a)
| |
Perusahaan
Perseroan Persero PT Perusahaan
Listrik
Negara, Senior Notes |
4.375%
|
2/5/50
|
5,500,000
|
4,479,730
(a)
| |
Perusahaan
Perseroan Persero PT Perusahaan
Listrik
Negara, Senior Notes |
4.000%
|
6/30/50
|
8,660,000
|
6,539,322
(a)
| |
| |||||
Total
Utilities |
56,583,892
| ||||
Total
Corporate Bonds & Notes (Cost — $854,859,897) |
840,015,540
| ||||
Asset-Backed
Securities — 8.4% | |||||
AB
BSL CLO Ltd., 2023-4A A (3 mo. Term SOFR +
2.000%)
|
7.282%
|
4/20/36
|
1,000,000
|
1,003,837
(a)(b)
| |
Ares
Loan Funding Ltd., 2023-ALF4A A1 (3 mo.
Term
SOFR + 1.750%) |
7.051%
|
10/15/36
|
2,360,000
|
2,367,965
(a)(b)
| |
Ballyrock
CLO Ltd., 2018-1A A1 (3 mo. Term
SOFR
+ 1.262%) |
6.544%
|
4/20/31
|
1,148,885
|
1,150,104
(a)(b)
| |
Birch
Grove CLO Ltd., 2022-4A A1R (3 mo. Term
SOFR
+ 1.480%) |
6.781%
|
7/15/37
|
2,480,000
|
2,482,444
(a)(b)
| |
Birch
Grove CLO Ltd., 2023-7A A1 (3 mo. Term
SOFR
+ 1.800%) |
7.082%
|
10/20/36
|
1,735,000
|
1,741,613
(a)(b)
| |
Birch
Grove CLO Ltd., 2024-8A A1 (3 mo. Term
SOFR
+ 1.630%) |
6.928%
|
4/20/37
|
4,840,000
|
4,851,904
(a)(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Asset-Backed
Securities — continued | |||||
BlueMountain
CLO Ltd., 2015-3A A1R (3 mo.
Term
SOFR + 1.262%) |
6.544%
|
4/20/31
|
$2,060,184
|
$2,061,880
(a)(b)
| |
BlueMountain
CLO Ltd., 2021-28A A (3 mo.
Term
SOFR + 1.522%) |
6.823%
|
4/15/34
|
9,440,000
|
9,447,050
(a)(b)
| |
Carlyle
Global Market Strategies CLO Ltd.,
2013-4A
CRR (3 mo. Term SOFR + 2.012%) |
7.313%
|
1/15/31
|
500,000
|
500,433
(a)(b)
| |
Carlyle
Global Market Strategies CLO Ltd.,
2014-3RA
A1A (3 mo. Term SOFR + 1.312%) |
6.575%
|
7/27/31
|
1,106,625
|
1,107,690
(a)(b)
| |
Catskill
Park CLO Ltd., 2017-1A A2 (3 mo. Term
SOFR
+ 1.962%) |
7.244%
|
4/20/29
|
3,000,000
|
3,002,218
(a)(b)
| |
CIFC
Funding Ltd., 2017-1A ARR (3 mo. Term
SOFR
+ 1.550%) |
6.832%
|
4/21/37
|
1,320,000
|
1,322,384
(a)(b)
| |
Elmwood
CLO Ltd., 2019-1A A1RR (3 mo. Term
SOFR
+ 1.520%) |
6.802%
|
4/20/37
|
9,100,000
|
9,113,135
(a)(b)
| |
Empower
CLO Ltd., 2024-1A A1 (3 mo. Term
SOFR
+ 1.600%) |
6.911%
|
4/25/37
|
5,100,000
|
5,110,558
(a)(b)
| |
Golub
Capital Partners CLO Ltd., 2023-66A A (3
mo.
Term SOFR + 1.950%) |
7.235%
|
4/25/36
|
1,580,000
|
1,585,575
(a)(b)
| |
Hildene
Community Funding CDO Ltd., 2015-1A
ARR
|
2.600%
|
11/1/35
|
1,155,621
|
988,362
(a)
| |
Myers
Park CLO Ltd., 2018-1A B1 (3 mo. Term
SOFR
+ 1.862%) |
7.144%
|
10/20/30
|
2,680,000
|
2,681,566
(a)(b)
| |
Oaktree
CLO Ltd., 2024-25A A (3 mo. Term SOFR
+
1.550%) |
6.854%
|
4/20/37
|
10,280,000
|
10,295,475
(a)(b)
| |
Ocean
Trails CLO, 2020-10A AR (3 mo. Term
SOFR
+ 1.482%) |
6.783%
|
10/15/34
|
3,085,000
|
3,087,773
(a)(b)
| |
Octagon
Investment Partners Ltd., 2014-1A
AAR3
(3 mo. Term SOFR + 1.262%) |
6.378%
|
2/14/31
|
7,496,335
|
7,501,930
(a)(b)
| |
Owl
Rock CLO Ltd., 2020-3A AR (3 mo. Term
SOFR
+ 1.850%) |
7.149%
|
4/20/36
|
2,490,000
|
2,500,434
(a)(b)
| |
Palmer
Square CLO Ltd., 2022-5A A (3 mo. Term
SOFR
+ 2.000%) |
7.282%
|
10/20/35
|
1,000,000
|
1,000,000
(a)(b)
| |
Rad
CLO Ltd., 2023-22A A1 (3 mo. Term SOFR +
1.830%)
|
7.112%
|
1/20/37
|
5,000,000
|
5,023,721
(a)(b)
| |
Symphony
CLO Ltd., 2023-40A A1 (3 mo. Term
SOFR
+ 1.640%) |
6.941%
|
1/14/34
|
2,080,000
|
2,084,201
(a)(b)
| |
Trinitas
CLO Ltd., 2023-25A A1 (3 mo. Term
SOFR
+ 1.850%) |
7.133%
|
1/23/37
|
1,810,000
|
1,818,909
(a)(b)
| |
Voya
CLO Ltd., 2017-3A A1R (3 mo. Term SOFR
+
1.302%) |
6.584%
|
4/20/34
|
1,530,000
|
1,530,952
(a)(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Asset-Backed
Securities — continued | |||||
Whitebox
CLO Ltd., 2020-2A A1R (3 mo. Term
SOFR
+ 1.482%) |
6.765%
|
10/24/34
|
$1,750,000
|
$1,751,660
(a)(b)
| |
| |||||
Total
Asset-Backed Securities (Cost — $87,102,980) |
87,113,773
| ||||
Sovereign
Bonds — 7.5% | |||||
Colombia
— 2.7% | |||||
Colombia
Government International Bond,
Senior
Notes |
5.000%
|
6/15/45
|
38,670,000
|
28,193,203
| |
Israel
— 0.5% | |||||
Israel
Government International Bond, Senior
Notes
|
4.125%
|
1/17/48
|
7,060,000
|
5,499,175
| |
Kazakhstan
— 0.4% | |||||
Kazakhstan
Government International Bond,
Senior
Notes |
4.875%
|
10/14/44
|
4,290,000
|
4,249,835
(a)
| |
Mexico
— 3.9% | |||||
Mexico
Government International Bond, Senior
Notes
|
4.400%
|
2/12/52
|
53,510,000
|
40,815,919
| |
| |||||
Total
Sovereign Bonds (Cost — $70,665,911) |
78,758,132
| ||||
U.S.
Government & Agency Obligations — 0.3% | |||||
U.S.
Government Obligations — 0.3% | |||||
U.S.
Treasury Bonds |
3.000%
|
2/15/48
|
1,020,000
|
815,881
| |
U.S.
Treasury Bonds |
1.375%
|
8/15/50
|
10,000
|
5,418
| |
U.S.
Treasury Bonds |
4.000%
|
11/15/52
|
10,000
|
9,600
| |
U.S.
Treasury Notes |
4.000%
|
7/31/29
|
2,020,000
|
2,044,145
| |
| |||||
Total
U.S. Government & Agency Obligations (Cost — $3,110,643) |
2,875,044
| ||||
Total
Investments before Short-Term Investments (Cost — $1,015,739,431) |
1,008,762,489
| ||||
|
|
|
|
Shares
|
|
Short-Term
Investments — 0.5% | |||||
BNY
Mellon Cash Reserve Fund
(Cost
— $4,765,343) |
2.100%
|
|
4,765,343
|
4,765,343
(d)
| |
Total
Investments — 97.5% (Cost — $1,020,504,774) |
1,013,527,832
| ||||
Other
Assets in Excess of Liabilities — 2.5% |
26,031,937
| ||||
Total
Net Assets — 100.0% |
$1,039,559,769
|
††
|
Represents
less than 0.1%. |
(a)
|
Security
is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in
transactions
that are exempt from registration, normally to qualified institutional buyers. This security has been
deemed
liquid pursuant to guidelines approved by the Board of Trustees.
|
(b)
|
Variable
rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate
securities
are not based on a published reference rate and spread but are determined by the issuer or agent and
are
based on current market conditions. These securities do not indicate a reference rate and spread in their
description
above. |
(c)
|
Security
is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to
securities
offerings that are made outside of the United States and do not involve direct selling efforts in the
United
States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(d)
|
Rate
shown is one-day yield as of the end of the reporting period.
|
Abbreviation(s)
used in this schedule: | ||
CDO
|
—
|
Collateralized
Debt Obligation |
CLO
|
—
|
Collateralized
Loan Obligation |
JSC
|
—
|
Joint
Stock Company |
LIBOR
|
—
|
London
Interbank Offered Rate |
SOFR
|
—
|
Secured
Overnight Financing Rate |
USD
|
—
|
United
States Dollar |
|
Number
of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
Contracts
to Buy: |
|
|
|
|
|
U.S.
Treasury 2-Year
Notes
|
711
|
12/24
|
$147,578,002
|
$147,565,829
|
$(12,173
) |
U.S.
Treasury Long-Term
Bonds
|
1,741
|
12/24
|
217,100,689
|
214,360,625
|
(2,740,064
) |
U.S.
Treasury Ultra
10-Year
Notes |
107
|
12/24
|
12,636,427
|
12,565,812
|
(70,615
) |
|
|
|
|
|
(2,822,852
) |
Contracts
to Sell: |
|
|
|
|
|
U.S.
Treasury 5-Year
Notes
|
91
|
12/24
|
9,988,515
|
9,955,258
|
33,257
|
U.S.
Treasury 10-Year
Notes
|
2,351
|
12/24
|
268,546,318
|
266,985,437
|
1,560,881
|
U.S.
Treasury Ultra Long-
Term
Bonds |
3
|
12/24
|
402,253
|
395,813
|
6,440
|
|
|
|
|
|
1,600,578
|
Net
unrealized depreciation on open futures contracts |
$(1,222,274
) |
CENTRALLY
CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1
| ||||||
Reference
Entity |
Notional
Amount2
|
Termination
Date
|
Periodic
Payments
Received
by
the
Fund†
|
Market
Value3
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
|
Markit
CDX.NA.IG.42
Index
|
$984,319,000
|
6/20/29
|
1.000%
quarterly |
$21,824,881
|
$19,919,074
|
$1,905,807
|
1
|
If
the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap
agreement,
the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the
swap
and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii)
pay
a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the
recovery
value of the referenced obligation or underlying securities comprising the referenced index. |
2
|
The
maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a
buyer
of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
3
|
The
quoted market prices and resulting values for credit default swap agreements on asset-backed securities and
credit
indices serve as an indicator of the current status of the payment/performance risk and represent the
likelihood
of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement
been
closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy
protection),
when compared to the notional amount of the swap, represent a deterioration of the referenced
entity’s
credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under
the
terms of the agreement. |
†
|
Percentage
shown is an annual percentage rate. |
Assets:
|
|
Investments,
at value (Cost — $1,020,504,774) |
$1,013,527,832
|
Deposits
with brokers for centrally cleared swap contracts |
21,151,453
|
Interest
receivable |
13,048,007
|
Receivable
for securities sold
|
5,588,750
|
Deposits
with brokers for open futures contracts |
4,425,072
|
Receivable
for Fund shares sold |
492,547
|
Receivable
from brokers — net variation margin on centrally cleared swap contracts |
208,734
|
Receivable
from investment manager |
24,653
|
Prepaid
expenses |
16,300
|
Total
Assets |
1,058,483,348
|
Liabilities:
|
|
Payable
for Fund shares repurchased |
18,273,248
|
Payable
to brokers — net variation margin on open futures contracts |
555,281
|
Trustees’
fees payable |
4,779
|
Accrued
expenses |
90,271
|
Total
Liabilities |
18,923,579
|
Total
Net Assets |
$1,039,559,769
|
Net
Assets: |
|
Par
value (Note
5) |
$1,101
|
Paid-in
capital in excess of par value |
1,062,985,587
|
Total
distributable earnings (loss)
|
(23,426,919
) |
Total
Net Assets |
$1,039,559,769
|
Shares
Outstanding |
110,065,886
|
Net
Asset Value |
$9.44
|
Investment
Income: |
|
Interest
from unaffiliated investments |
$28,929,700
|
Interest
from affiliated investments |
2,441
|
Less:
Foreign taxes withheld |
(27,382
) |
Total
Investment Income |
28,904,759
|
Expenses:
|
|
Fund
accounting fees |
39,207
|
Legal
fees |
19,852
|
Audit
and tax fees |
19,254
|
Registration
fees |
19,119
|
Shareholder
reports |
14,187
|
Trustees’
fees |
14,079
|
Commodity
pool reports |
5,861
|
Commitment
fees (Note
7) |
5,317
|
Custody
fees |
3,373
|
Transfer
agent fees (Note 2) |
1,654
|
Miscellaneous
expenses |
5,592
|
Total
Expenses |
147,495
|
Less:
Fee waivers and/or expense reimbursements (Note
2) |
(147,495
) |
Net
Expenses |
—
|
Net
Investment Income |
28,904,759
|
Realized
and Unrealized Gain (Loss) on Investments, Futures Contracts, Swap Contracts and Foreign
Currency
Transactions (Notes
1, 3 and 4): | |
Net
Realized Gain (Loss) From: |
|
Investment
transactions in unaffiliated securities |
(6,043,120
) |
Futures
contracts |
2,493,187
|
Swap
contracts |
14,485,176
|
Foreign
currency transactions |
13
|
Net
Realized Gain
|
10,935,256
|
Change
in Net Unrealized Appreciation (Depreciation) From: |
|
Investments
in unaffiliated securities |
35,160,953
|
Investments
in affiliated securities |
1,400
|
Futures
contracts |
(1,865,605
) |
Swap
contracts |
(7,970,316
) |
Change
in Net Unrealized Appreciation (Depreciation)
|
25,326,432
|
Net
Gain on Investments, Futures Contracts, Swap Contracts and Foreign Currency
Transactions
|
36,261,688
|
Increase
in Net Assets From Operations |
$65,166,447
|
For
the Six Months Ended August 31, 2024 (unaudited)
and
the Year Ended February 29, 2024 |
August
31 |
February
29 |
Operations:
|
|
|
Net
investment income
|
$28,904,759
|
$59,556,110
|
Net
realized gain
|
10,935,256
|
27,083,375
|
Change
in net unrealized appreciation (depreciation)
|
25,326,432
|
14,064,481
|
Increase
in Net Assets From Operations |
65,166,447
|
100,703,966
|
Distributions
to Shareholders From (Note
1): |
|
|
Total
distributable earnings |
(31,256,192
) |
(71,288,203
) |
Decrease
in Net Assets From Distributions to Shareholders |
(31,256,192
) |
(71,288,203
) |
Fund
Share Transactions (Note
5): |
|
|
Net
proceeds from sale of shares
|
107,194,634
|
257,797,736
|
Cost
of shares repurchased
|
(248,476,910
) |
(354,238,403
) |
Decrease
in Net Assets From Fund Share Transactions |
(141,282,276
) |
(96,440,667
) |
Decrease
in Net Assets |
(107,372,021
) |
(67,024,904
) |
Net
Assets: |
|
|
Beginning
of period |
1,146,931,790
|
1,213,956,694
|
End
of period |
$1,039,559,769
|
$1,146,931,790
|
For
a share of beneficial interest outstanding throughout each year ended February 28,
unless
otherwise noted: | ||||||
|
20241,2
|
20241,3
|
20231
|
20221
|
20211
|
20201,3
|
Net
asset value, beginning of period |
$9.16
|
$8.92
|
$9.10
|
$9.68
|
$9.66
|
$9.30
|
Income
(loss) from operations: | ||||||
Net
investment income |
0.24
|
0.45
|
0.37
|
0.29
|
0.26
|
0.37
|
Net
realized and unrealized gain (loss) |
0.30
|
0.33
|
(0.10
) |
(0.51
) |
0.11
|
0.40
|
Total
income (loss) from operations |
0.54
|
0.78
|
0.27
|
(0.22)
|
0.37
|
0.77
|
Less
distributions from: |
|
|
|
|
|
|
Net
investment income |
(0.26
) |
(0.54
) |
(0.45
) |
(0.36
) |
(0.35
) |
(0.41
) |
Total
distributions
|
(0.26
) |
(0.54
) |
(0.45
) |
(0.36
) |
(0.35
) |
(0.41
) |
Net
asset value, end of period |
$9.44
|
$9.16
|
$8.92
|
$9.10
|
$9.68
|
$9.66
|
Total
return4
|
6.08
% |
9.07
% |
3.09
% |
(2.43
)% |
3.98
% |
8.36
% |
Net
assets, end of period (millions)
|
$1,040
|
$1,147
|
$1,214
|
$1,740
|
$1,912
|
$1,244
|
Ratios
to average net assets: | ||||||
Gross
expenses5
|
0.03
%6
|
0.03
% |
0.02
% |
0.02
% |
0.03
% |
0.03
% |
Net
expenses7,8
|
0.00
6
|
0.00
|
0.00
|
0.00
|
0.00
|
0.00
|
Net
investment income |
5.11
6
|
5.04
|
4.20
|
3.04
|
2.80
|
3.81
|
Portfolio
turnover rate |
3
% |
7
% |
44
% |
12
% |
13
% |
15
% |
1
|
Per
share amounts have been calculated using the average shares method. |
2
|
For
the six months ended August 31, 2024 (unaudited). |
3
|
For
the year ended February 29.
|
4
|
Performance
figures do not reflect the effect of fees and expenses associated with a separately managed account,
nor
a management fee or other operating expenses of the Fund. Such management fees are paid directly or
indirectly
by the separately managed account sponsor to the Fund’s manager or subadvisers. All operating
expenses
of the Fund were reimbursed by the manager, pursuant to an expense reimbursement arrangement
between
the Fund and the manager. If such fees were included, the total return would have been lower. Past
performance
is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
5
|
Gross
expenses do not include management fees paid to the manager and subadvisers. Management fees are paid
directly
or indirectly by the separately managed account sponsor. |
6
|
Annualized.
|
7
|
The
Fund’s manager has entered into an expense reimbursement arrangement with the Fund, pursuant to which the
Fund’s
manager has agreed to reimburse 100% of the Fund’s ordinary operating expenses. The expense
reimbursement
arrangement does not cover interest, brokerage, taxes and extraordinary expenses. This
arrangement
cannot be terminated prior to December 31, 2025 without the Board of Trustees’ consent. |
8
|
Reflects
fee waivers and/or expense reimbursements. |
ASSETS
| ||||
Description
|
Quoted
Prices
(Level
1) |
Other
Significant
Observable
Inputs
(Level
2) |
Significant
Unobservable
Inputs
(Level
3) |
Total
|
Long-Term
Investments†: |
|
|
|
|
Corporate
Bonds & Notes |
—
|
$840,015,540
|
—
|
$840,015,540
|
Asset-Backed
Securities |
—
|
87,113,773
|
—
|
87,113,773
|
Sovereign
Bonds |
—
|
78,758,132
|
—
|
78,758,132
|
U.S.
Government & Agency
Obligations
|
—
|
2,875,044
|
—
|
2,875,044
|
Total
Long-Term Investments |
—
|
1,008,762,489
|
—
|
1,008,762,489
|
Short-Term
Investments† |
—
|
4,765,343
|
—
|
4,765,343
|
Total
Investments |
—
|
$1,013,527,832
|
—
|
$1,013,527,832
|
Other
Financial Instruments: |
|
|
|
|
Futures
Contracts†† |
$1,600,578
|
—
|
—
|
$1,600,578
|
Centrally
Cleared Credit
Default
Swaps on Credit
Indices
— Sell
Protection††
|
—
|
$1,905,807
|
—
|
1,905,807
|
Total
Other Financial
Instruments
|
$1,600,578
|
$1,905,807
|
—
|
$3,506,385
|
Total
|
$1,600,578
|
$1,015,433,639
|
—
|
$1,017,034,217
|
LIABILITIES
| ||||
Description
|
Quoted
Prices
(Level
1) |
Other
Significant
Observable
Inputs
(Level
2) |
Significant
Unobservable
Inputs
(Level
3) |
Total
|
Other
Financial Instruments: |
|
|
|
|
Futures
Contracts†† |
$2,822,852
|
—
|
—
|
$2,822,852
|
†
|
See
Schedule of Investments for additional detailed categorizations. |
††
|
Reflects
the unrealized appreciation (depreciation) of the instruments. |
|
Investments
|
U.S.
Government &
Agency
Obligations |
Purchases
|
$6,312,856
|
$28,778,801
|
Sales
|
128,794,790
|
37,157,833
|
|
Cost/Premiums
Paid
(Received) |
Gross
Unrealized
Appreciation
|
Gross
Unrealized
Depreciation
|
Net
Unrealized
Appreciation
(Depreciation)
|
Securities
|
$1,027,225,812
|
$43,030,977
|
$(56,728,957)
|
$(13,697,980)
|
Futures
contracts |
—
|
1,600,578
|
(2,822,852)
|
(1,222,274)
|
Swap
contracts |
19,919,074
|
1,905,807
|
—
|
1,905,807
|
ASSET
DERIVATIVES1
| |||
|
Interest
Rate
Risk |
Credit
Risk
|
Total
|
Futures
contracts2
|
$1,600,578
|
—
|
$1,600,578
|
Centrally
cleared swap contracts3
|
—
|
$1,905,807
|
1,905,807
|
Total
|
$1,600,578
|
$1,905,807
|
$3,506,385
|
LIABILITY
DERIVATIVES1
| |
|
Interest
Rate
Risk |
Futures
contracts2
|
$2,822,852
|
1
|
Generally,
the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for
liability
derivatives is payables/net unrealized depreciation. |
2
|
Includes
cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of
Investments.
Only net variation margin is reported within the receivables and/or payables on the Statement of
Assets
and Liabilities. |
3
|
Includes
cumulative unrealized appreciation (depreciation) of centrally cleared swap contracts as reported in the
Schedule
of Investments. Only net variation margin is reported within the receivables and/or payables on the
Statement
of Assets and Liabilities. |
AMOUNT
OF NET REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED | |||
|
Interest
Rate
Risk |
Credit
Risk
|
Total
|
Futures
contracts |
$2,493,187
|
—
|
$2,493,187
|
Swap
contracts |
—
|
$14,485,176
|
14,485,176
|
Total
|
$2,493,187
|
$14,485,176
|
$16,978,363
|
CHANGE
IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED | |||
|
Interest
Rate
Risk |
Credit
Risk
|
Total
|
Futures
contracts |
$(1,865,605
) |
—
|
$(1,865,605
) |
Swap
contracts |
—
|
$(7,970,316
) |
(7,970,316
) |
Total
|
$(1,865,605
) |
$(7,970,316
) |
$(9,835,921
) |
|
Average
Market
Value
|
Futures
contracts (to buy) |
$334,548,860
|
Futures
contracts (to sell) |
311,691,161
|
|
Average
Notional
Balance
|
Credit
default swap contracts (sell protection) |
$1,009,438,871
|
|
Six
Months Ended
August
31, 2024 |
Year
Ended
February
29, 2024 |
Shares
sold |
11,659,499
|
28,637,977
|
Shares
repurchased |
(26,786,932
) |
(39,542,929
) |
Net
decrease |
(15,127,433
) |
(10,904,952
) |
|
Affiliate
Value at
February 29, 2024
|
Purchased
|
Sold
| ||
Cost
|
Shares/
Face amount
|
Proceeds
|
Shares/
Face amount
| ||
Benefit
Street
Partners
CLO Ltd.,
2014-IVA
ARRR |
$998,600
|
—
|
—
|
$1,000,000
|
1,000,000
|
(cont’d)
|
Realized
Gain (Loss)
|
Interest
Income
|
Net Increase
(Decrease)
in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
August 31,
2024
|
Benefit
Street Partners
CLO
Ltd., 2014-IVA
ARRR
|
—
|
$2,441
|
$1,400
|
—
|
ITEM 8. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 9. | PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 10. | REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 11. | STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR, as applicable.
ITEM 12. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 14. | PURCHASES OF SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
ITEM 15. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 16. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 17. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 18. | RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION. |
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 19. | EXHIBITS. |
(a) (1) Not applicable.
Exhibit 99.CODE ETH
(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.CERT
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.906CERT
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
Legg Mason Partners Institutional Trust | ||
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | October 24, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | October 24, 2024 |
By: | /s/ Christopher Berarducci | |
Christopher Berarducci | ||
Principal Financial Officer | ||
Date: | October 24, 2024 |